On the Use Of Quasi-Monte Carlo Methods in Computational Finance

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文件名称：On the Use Of Quasi-Monte Carlo Methods in Computational Finance
文件大小：197KB
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更新时间：2012-12-21 16:48:43
MonteCarlo, Finance Abstract. We give the background and required tools for applying quasi-Monte Carlo methods eciently to problems in computational - nance, and survey recent developments in this eld.We describe methods for pricing european path-dependent options, and also discuss problems involving the estimation of gradients and the simulation of stochastic volatility models.